You want to estimate the market model for an individual stock (IBM) and a mutual fund (FMAGX). First, go to finance.yahoo.com and download the adjusted prices for the last 60 months for an individual stock, a mutual fund, and the S&P 500. Next, go to the St. Louis Federal Reserve website at www.stlouisfed.org. You should find the FRED database on this website. Look for the 1-Month Treasury Constant Maturity Rate and download this data. This will be the proxy for the risk-free rate. When using this rate, you should be aware that this interest rate is the annual interest rate, while we are using monthly stock returns, so you will need to adjust the 1-month T-bill rate. For the stock and mutual fund you select, estimate the beta and alpha of the stock using the market model. You may want to save the regression output in a new worksheet.

1) Are the alpha and beta for each regression statistically different from zero?

Month/Year

S&P 500

Stock price

Mutual fund price

Risk-free rate

S&P 500 return

Stock return

Mutual fund return

IBM

FMAGX

Market risk premium

Stock risk premium

Mutual fund risk premium